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Incorporating single and multiple losses in operational risk: a multi-period perspective

Mizgier, Kamil J. and Wimmer, Maximilian (2018) Incorporating single and multiple losses in operational risk: a multi-period perspective. Journal of the Operational Research Society 69 (3), pp. 358-371.

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Date of publication of this fulltext: 16 Mar 2017 09:18

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Abstract

Operational disruptions can have serious repercussions for firms over extended periods of time. In this work, we develop a multi-period model of operational risk. We define the loss process of operational disruptions as a sum of events triggering single and multiple losses. We empirically validate our approach using an extensive data set of operational disruptions experienced by firms from the ...

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Item type:Article
Date:March 2018
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Identification Number:
ValueType
10.1057/s41274-017-0225-4DOI
Related URLs:
URLURL Type
https://link.springer.com/article/10.1057/s41274-017-0225-4Publisher
Keywords:Risk management, multi-period risk modeling, operational risk
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Item ID:35390
Owner only: item control page

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